tbilldisc2yield

Convert Treasury bill discount to equivalent yield

Syntax

```[BEYield MMYield] = tbilldisc2yield(Discount, Settle, Maturity)
```

Arguments

 `Discount` Discount rate of Treasury bills in decimal. The discount rate basis is actual/360. `Settle` Settlement date. `Settle` must be earlier than `Maturity`. `Maturity` Maturity date.

Inputs must either be a scalar or a vector of size equal to the number of Treasury bills (`NTBILLS`) by `1` or `1`-by-`NTBILLS`.

Description

```[BEYield MMYield] = tbilldisc2yield(Yield, Settle, Maturity)``` converts the discount rate on Treasury bills into their respective money-market or bond-equivalent yields.

`BEYield` is an `NTBILLS`-by-`1` vector of bond-equivalent yields. The bond-equivalent yield basis is actual/365.

`MMYield` is an `NTBILLS`-by-`1` vector of money-market yields. The money-market yield basis is actual/360.

Examples

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Convert the Discount Rate on Treasury Bills

This example shows how to convert the discount rate on Treasury bills into their respective money-market or bond-equivalent yields, given a Treasury bill with the following characteristics.

```Discount = 0.0497; Settle = '01-Oct-02'; Maturity = '31-Mar-03'; [BEYield MMYield] = tbilldisc2yield(Discount, Settle, Maturity) ```
```BEYield = 0.0517 MMYield = 0.0510 ```

References

This function adheres to SIA Fixed Income Securities Formulas for Price, Yield, and Accrued Interest, Volume 1, 3rd edition, pp. 44 - 45 (on Treasury bills), and Money Market and Bond Calculation by Stigum and Robinson.